Multi-stage stochastic model in portfolio selection problem

DOI10.2298/FIL1803991BzbMATH Open1499.91111OpenAlexW2884075693WikidataQ129458696 ScholiaQ129458696MaRDI QIDQ5023481FDOQ5023481

Authors Shokoofeh Banihashemi, Ali Moayedi Azarpour, M. Kaveh 

Publication date 21 January 2022

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/fil1803991b

zbMATH Keywords

portfoliorisk measuresgenetic algorithmmulti-period investment

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic processes (60G99)

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Cites work

• A multiobjective metaheuristic for a mean-risk multistage capacity investment problem with process flexibility
• Coherent measures of risk
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Dual Stochastic Dominance and Quantile Risk Measures
• Multi-period optimization portfolio with bankruptcy control in stochastic market
• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• On estimating the conditional expected shortfall
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Selection of a dynamic supply portfolio in make-to-order environment with risks
• Simulating sensitivities of conditional value at risk
• Some remarks on the value-at-risk and the conditional value-at-risk
• Worst-case conditional value-at-risk with application to robust portfolio management
• Worst-case robust decisions for multi-period mean-variance portfolio optimization

Cited in

(8)

• Stochastic optimization for portfolio selection problem with mean absolute negative deviation measure
• Title not available (Why is no real title available?)
• Mean absolute negative deviation measure for portfolio selection problem
• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
• A multiple objective stochastic portfolio selection problem with random beta
• A two-asset stochastic model for long-term portfolio selection
• A stochastic approach to asset selection process

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